Implementing Value At Risk

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Implementing Value at Risk

Author : Philip Best
Publisher : John Wiley & Sons
ISBN 13 : 0470865962
Total Pages : 224 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Implementing Value at Risk by : Philip Best

Download or read book Implementing Value at Risk written by Philip Best and published by John Wiley & Sons. This book was released on 2000-11-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment

Value-at-risk

Author : Glyn A. Holton
Publisher :
ISBN 13 : 9780123540102
Total Pages : 405 pages
Book Rating : 4.5/5 (41 download)

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Book Synopsis Value-at-risk by : Glyn A. Holton

Download or read book Value-at-risk written by Glyn A. Holton and published by . This book was released on 2003 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. It describes how to design, implement, and use scalable production VaR measures on actual trading floors. Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations. Sophisticated techniques are fully disclosed, including: quadratic ("delta-gamma") methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to "fix" estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH.

Implementing Value at Risk

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (748 download)

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Book Synopsis Implementing Value at Risk by :

Download or read book Implementing Value at Risk written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment.

Value at Risk and Bank Capital Management

Author : Francesco Saita
Publisher : Elsevier
ISBN 13 : 9780080471068
Total Pages : 280 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Value at Risk and Bank Capital Management by : Francesco Saita

Download or read book Value at Risk and Bank Capital Management written by Francesco Saita and published by Elsevier. This book was released on 2010-07-26 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe

Measuring Market Risk with Value at Risk

Author : Pietro Penza
Publisher : John Wiley & Sons
ISBN 13 : 9780471393139
Total Pages : 324 pages
Book Rating : 4.3/5 (931 download)

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Book Synopsis Measuring Market Risk with Value at Risk by : Pietro Penza

Download or read book Measuring Market Risk with Value at Risk written by Pietro Penza and published by John Wiley & Sons. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

Financial Risk Forecasting

Author : Jon Danielsson
Publisher : John Wiley & Sons
ISBN 13 : 1119977118
Total Pages : 307 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Financial Risk Forecasting by : Jon Danielsson

Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Mastering Value at Risk

Author : Cormac Butler
Publisher : Financial Times/Prentice Hall
ISBN 13 : 9780273637523
Total Pages : 264 pages
Book Rating : 4.6/5 (375 download)

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Book Synopsis Mastering Value at Risk by : Cormac Butler

Download or read book Mastering Value at Risk written by Cormac Butler and published by Financial Times/Prentice Hall. This book was released on 1999 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.

Hands-On Value-at-Risk and Expected Shortfall

Author : Martin Auer
Publisher : Springer
ISBN 13 : 3319723200
Total Pages : 169 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Hands-On Value-at-Risk and Expected Shortfall by : Martin Auer

Download or read book Hands-On Value-at-Risk and Expected Shortfall written by Martin Auer and published by Springer. This book was released on 2018-02-01 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi — Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.

Corporate Value of Enterprise Risk Management

Author : Sim Segal
Publisher : John Wiley & Sons
ISBN 13 : 1118023307
Total Pages : 439 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis Corporate Value of Enterprise Risk Management by : Sim Segal

Download or read book Corporate Value of Enterprise Risk Management written by Sim Segal and published by John Wiley & Sons. This book was released on 2011-02-11 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate guide to maximizing shareholder value through ERM The first book to introduce an emerging approach synthesizing ERM and value-based management, Corporate Value of Enterprise Risk Management clarifies ERM as a strategic business management approach that enhances strategic planning and other decision-making processes. A hot topic in the wake of a series of corporate scandals as well as the financial crisis Looks at ERM as a way to deliver on the promise of balancing risk and return A practical guide for corporate Chief Risk Officers (CROs) and other business professionals seeking to successfully implement ERM ERM is here to stay. Sharing his unique insights and experiences as a recognized global thought leader in this field, author Sim Segal offers world-class guidance on how your business can successfully implement ERM to protect and increase shareholder value.

Risk Budgeting

Author : Neil D. Pearson
Publisher : John Wiley & Sons
ISBN 13 : 1118160835
Total Pages : 242 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis Risk Budgeting by : Neil D. Pearson

Download or read book Risk Budgeting written by Neil D. Pearson and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutionelle Anleger, Fonds- und Portfoliomanager müssen Risiken eingehen, wenn sie Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko. "Risk Budgeting: Portfolio Problem Solving with VaR" liefert die Antwort auf diese Frage. Beim Konzept des Risk Budgeting geht es um Risiko- und Kapitalallokation auf der Grundlage erwarteter Erträge und Risiken, mit dem Ziel, höhere Renditen zu erwirtschaften im Rahmen eines vordefinierten Gesamtrisikoniveaus. Mit Hilfe quantitativer Methoden zur Risikomessung, einschließlich der Value at Risk-Methode läßt sich das Risiko ermitteln und bewerten. Value at Risk (VaR) ist ein Verfahren zur Risikobewertung, das Banken ursprünglich zur Messung und Begrenzung von Marktpreisrisiken eingesetzt haben. Heute wird die VaR-Methode auch verstärkt im Risikomanagement eingesetzt. Dieses Buch bietet eine fundierte Einführung in die VaR-Methode sowie in Verfahren zur Risikomessung bei Extremereignissen und Krisenszenarien (Stress Testing). Darüber hinaus erklärt es, wie man mit Hilfe des Risk Budgeting ein effizienteres Portfoliomanagement erreicht. "Risk Budgeting: Portfolio Problem Solving with VaR" ist das einzige Buch auf dem Markt, das Risk Budgeting und VaR - zwei brandaktuelle Themen im Portfoliomanagement - speziell für institutionelle Investment- und Portfolio-Manager aufbereitet. Eine unverzichtbare Lektüre.

Measuring Market Risk

Author : Kevin Dowd
Publisher : John Wiley & Sons
ISBN 13 : 0470855215
Total Pages : 395 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Measuring Market Risk by : Kevin Dowd

Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

Author : M. Rasmussen
Publisher : Springer
ISBN 13 : 0230512852
Total Pages : 453 pages
Book Rating : 4.2/5 (35 download)

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Book Synopsis Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by : M. Rasmussen

Download or read book Quantitative Portfolio Optimisation, Asset Allocation and Risk Management written by M. Rasmussen and published by Springer. This book was released on 2002-12-13 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

The VAR Implementation Handbook

Author : Greg N. Gregoriou
Publisher : McGraw Hill Professional
ISBN 13 : 0071615148
Total Pages : 562 pages
Book Rating : 4.0/5 (716 download)

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Book Synopsis The VAR Implementation Handbook by : Greg N. Gregoriou

Download or read book The VAR Implementation Handbook written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-03-15 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: [flap] For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, “What is my worst-case scenario?” and “How much could I lose in a really bad month?” However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now. The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world. Heralded as “the new science of risk management,” VaR has emerged as the dominant methodology used by financial institutions and corporate treasuries worldwide for estimating precisely how much money is at risk each day in the financial markets. The VaR Implementation Handbook picks up where other books on the subject leave off and demonstrates how, with proper implementation, VaR can be a valuable tool for assessing risk in a variety of areas-from equity to structured and operational products. This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its: Reliable advice from 40 recognized experts working in universities and financial institutions around the world Effective methods and measures to ensure that implemented VaR models maintain optimal performance Up-to-date coverage on newly exposed areas of volatility, including derivatives Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.

Mastering Value at Risk

Author : Cormac Butler
Publisher : Financial Times/Prentice Hall
ISBN 13 : 9780273637523
Total Pages : 264 pages
Book Rating : 4.6/5 (375 download)

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Book Synopsis Mastering Value at Risk by : Cormac Butler

Understanding Market, Credit, and Operational Risk

Author : Linda Allen
Publisher : John Wiley & Sons
ISBN 13 : 140514226X
Total Pages : 312 pages
Book Rating : 4.4/5 (51 download)

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Book Synopsis Understanding Market, Credit, and Operational Risk by : Linda Allen

Download or read book Understanding Market, Credit, and Operational Risk written by Linda Allen and published by John Wiley & Sons. This book was released on 2009-02-04 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.

Implementing Enterprise Risk Management

Author : James Lam
Publisher : John Wiley & Sons
ISBN 13 : 1118235363
Total Pages : 432 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Implementing Enterprise Risk Management by : James Lam

Download or read book Implementing Enterprise Risk Management written by James Lam and published by John Wiley & Sons. This book was released on 2017-03-13 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, real-world guide for implementing enterprise risk management (ERM) programs into your organization Enterprise risk management (ERM) is a complex yet critical issue that all companies must deal with in the twenty-first century. Failure to properly manage risk continues to plague corporations around the world. ERM empowers risk professionals to balance risks with rewards and balance people with processes. But to master the numerous aspects of enterprise risk management, you must integrate it into the culture and operations of the business. No one knows this better than risk management expert James Lam, and now, with Implementing Enterprise Risk Management: From Methods to Applications, he distills more than thirty years' worth of experience in the field to give risk professionals a clear understanding of how to implement an enterprise risk management program for every business. Offers valuable insights on solving real-world business problems using ERM Effectively addresses how to develop specific ERM tools Contains a significant number of case studies to help with practical implementation of an ERM program While Enterprise Risk Management: From Incentives to Controls, Second Edition focuses on the "what" of ERM, Implementing Enterprise Risk Management: From Methods to Applications will help you focus on the "how." Together, these two resources can help you meet the enterprise-wide risk management challenge head on—and succeed.

Value at Risk, 3rd Ed.

Author : Philippe Jorion
Publisher : McGraw Hill Professional
ISBN 13 : 0071736921
Total Pages : 624 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed. by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed. written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-11-09 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.